Weak convergence of Euler scheme for SDEs with low regular drift

DOI10.1007/S11075-021-01206-6zbMATH Open1496.65011arXiv2005.04631OpenAlexW3209228832MaRDI QIDQ2138404FDOQ2138404

Chenggui Yuan, Yongqiang Suo, Shaoqin Zhang

Publication date: 11 May 2022

Published in: Numerical Algorithms (Search for Journal in Brave)

Abstract: In this paper, we investigate the weak convergence rate of Euler-Maruyama's approximation for stochastic differential equations with irregular drifts. Explicit weak convergence rates are presented if drifts satisfy an integrability condition including discontinuous functions which can be non-piecewise continuous or in fractional Sobolev space.

Full work available at URL: https://arxiv.org/abs/2005.04631

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zbMATH Keywords

weak convergence rateEuler-Maruyama's approximationlow regular coefficients

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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Cited In (8)

• Convergence rate of the EM algorithm for SDEs with low regular drifts
• On the convergence rate of Euler scheme for SDE with Lipschitz drift and constant diffusion
• Euler-Maruyama scheme for SDE driven by Lévy process with Hölder drift
• Weak error for the Euler scheme approximation of degenerate diffusions with nonsmooth coefficients
• Approximation of distribution-independent and distribution-dependent stochastic differential equations with singular drifts
• On the weak convergence rate of an exponential Euler scheme for SDEs governed by coefficients with superlinear growth
• Quantifying a convergence theorem of Gyöngy and Krylov
• Convergence rate of the Euler-Maruyama scheme applied to diffusion processes with \(L^q - L^{\rho}\) drift coefficient and additive noise

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